Dam Rain and Cumulative Gain

Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions

Default and Systemic Risk in Equilibrium

Default correlation, cluster dynamics and single names: The GPCL dynamical loss model

Default Swap Games Driven by Spectrally Negative Levy Processes

Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures

Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures

Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis

Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing

Discrete-Time Interest Rate Modelling

Do your volatility smiles take care of extreme events?

Don't stay local - extrapolation analytics for Dupire's local volatility